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Novel variations of the Kelly game | | Matus Medo
; Yury M. Pis'mak
; Yi-Cheng Zhang
; | | Date: |
10 Mar 2008 | | Abstract: | In the Kelly game (Kelly, 1956), a gambler is allowed to invest a part of the
wealth in each turn. With a certain probability this investment is doubled, and
otherwise it is lost. Motivated by the complexity of real investments, we
propose several modifications of this game to investigate the influence of
diversification and limited information on investment performance. Analytical
and numerical results obtained from these toy games are well related to their
real-life counterparts. | | Source: | arXiv, 0803.1364 | | Services: | Forum | Review | PDF | Favorites | |
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